Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0689 |
| Annualized Std Dev | 0.3313 |
| Annualized Sharpe (Rf=0%) | 0.2079 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3093.0000 |
| NAs | 1.0000 |
| Minimum | -0.1761 |
| Quartile 1 | -0.0103 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0113 |
| Maximum | 0.1186 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0004 |
| Stdev | 0.0209 |
| Skewness | -0.3216 |
| Kurtosis | 4.4084 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0151 |
| Gain Deviation | 0.0140 |
| Loss Deviation | 0.0153 |
| Downside Deviation (MAR=210%) | 0.0195 |
| Downside Deviation (Rf=0%) | 0.0148 |
| Downside Deviation (0%) | 0.0148 |
| Maximum Drawdown | 0.7593 |
| Historical VaR (95%) | -0.0332 |
| Historical ES (95%) | -0.0492 |
| Modified VaR (95%) | -0.0338 |
| Modified ES (95%) | -0.0588 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-08-23 | 2015-12-17 | NA | -0.7593 | 2410 | 1088 | NA |
| 2009-02-23 | 2009-04-17 | 2009-10-06 | -0.2571 | 158 | 39 | 119 |
| 2009-12-03 | 2010-02-08 | 2010-05-12 | -0.2475 | 110 | 45 | 65 |
| 2010-12-07 | 2011-01-27 | 2011-03-01 | -0.1617 | 58 | 36 | 22 |
| 2009-01-02 | 2009-01-14 | 2009-01-23 | -0.1519 | 15 | 9 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1 | 1 |
| 2009 | 3.9 | -1.3 | 1.5 | -0.6 | -1 | 2.5 | 3.9 | 1.2 | -1.9 | -0.4 | 2.9 | 0.6 | 11.7 |
| 2010 | 4.5 | 0.1 | 2.3 | 1.9 | 1.6 | -7.6 | 2.1 | -0.6 | 1.6 | -1.1 | 0.2 | 2.5 | 7.1 |
| 2011 | 1.4 | 3.2 | -0.9 | 3.4 | 0.3 | -1.5 | -0.8 | 0.1 | 0.4 | 0.1 | -0.6 | 2.2 | 7.3 |
| 2012 | 0.4 | 3.2 | 1 | -0.5 | 7.8 | 5.5 | -1.8 | 4.4 | 0.4 | -0.9 | -1.3 | 1.9 | 21.3 |
| 2013 | 0.4 | -0.7 | 0.3 | -2.3 | -4.2 | 3 | -1.3 | -1.8 | -5.6 | -1.5 | 2 | 1.4 | -10.2 |
| 2014 | 0.6 | -1.1 | -0.3 | -0.9 | -0.9 | -0.3 | 1.5 | -0.3 | 0.8 | -4.5 | 8.3 | -2.8 | -0.3 |
| 2015 | 4.3 | 0.3 | 3.5 | -0.4 | -0.2 | -0.5 | 1.1 | 0.8 | -0.3 | -0.7 | 0.9 | -0.1 | 8.9 |
| 2016 | 2 | -1.4 | -1.7 | 3.9 | -0.2 | 3 | 0.3 | 0.7 | -1.1 | 1.5 | -0.3 | -1 | 5.6 |
| 2017 | -0.5 | 0 | 0.4 | -1.9 | 0.1 | -0.6 | -0.1 | 0.1 | -1 | 0.8 | 0.8 | 1.4 | -0.6 |
| 2018 | -0.2 | -0.5 | 0 | -1.7 | -1.1 | 0.5 | -1.4 | -0.3 | -0.5 | 2.7 | -0.4 | 0.5 | -2.3 |
| 2019 | -0.3 | -3.5 | -0.8 | -1.4 | 2.7 | -3.8 | 4.7 | -0.5 | 1.1 | 0.2 | 1.1 | 0.4 | -0.4 |
| 2020 | 1.2 | -7.3 | 1.2 | 1.6 | 0.7 | -1.9 | 2 | 0.3 | 2 | 0.9 | 4.3 | 0.7 | 5.3 |
| 2021 | 2 | -0.5 | 1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-12-03 24.8 SPY 87.3 0.024 0.0194 -0.101 -0.296 -0.403 -0.311 -0.186 GLD 76.2 -0.01 -0.058
2 2008-12-04 24.3 SPY 85.3 -0.0231 -0.0412 -0.150 -0.314 -0.427 -0.328 -0.204 GLD 75.5 -0.0089 -0.0607
3 2008-12-05 23.8 SPY 87.9 0.0308 -0.024 -0.0859 -0.308 -0.418 -0.305 -0.183 GLD 74.5 -0.013 -0.0721
4 2008-12-08 24.7 SPY 91 0.0349 0.108 0.0015 -0.262 -0.397 -0.282 -0.148 GLD 76.2 0.0225 0.0072
5 2008-12-09 24.8 SPY 89.5 -0.0165 0.0496 -0.0465 -0.277 -0.412 -0.290 -0.168 GLD 76.3 0.0018 -0.0081
6 2008-12-10 27 SPY 90.1 0.0068 0.032 -0.0272 -0.282 -0.391 -0.285 -0.156 GLD 79.8 0.0448 0.0469
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
